Local Well-Posedness for Generalized Semilinear Black-Scholes Equations

arXiv1812.05783MaRDI QIDQ6311157FDOQ6311157

Authors: Daniel Da Silva, Kamilla Igibayeva, Adelina Khoroshevskaya, Zhanna Sakayeva 

Publication date: 14 December 2018

Abstract: We consider some parabolic equations which are model problems for a variety of nonlinear generalizations to the Black-Scholes equation of mathematical finance. In particular, we prove local well-posedness for the Cauchy problem with initial data in $L^p$ spaces.

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Financial applications of other theories (91G80)

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